26 Nov 2011
The S&P 500 index has registered a positive double-digit return (10.93%) for October 2011, its best monthly performance over the past 20 years, according to EDHEC-Risk Alternative Indexes. The equity market has also experienced a fall of 13% in implicit volatility.
Although it has not recovered from the cumulative loss over the past five months (-16.26%), the S&P 500 index renewed with YTD profitability.
The bond market also recorded their best score over the past year - regular bonds up 1.07% and convertible bonds up 5.36. The commodities market was up 9.64%, however this could not make up for the losses in September of 12.40%.
The Convertible Arbitrage strategy has been less affected by the rise in stocks and gained a return of 1.33%, ending 5 months of losses and achieving a breakeven YTD performance. Despite the sharp fall in the dollar (-3.15%) and in profits on the commodities market, the CTA Global strategy fell by 3.00%.
The Equity Market Neutral strategy gained 1.58%, compensating for its losses in September. Exhibiting higher exposures to stocks, the Event Driven (+2.97%) and Long/Short Equity (+4.30%) strategies scored better and recorded their best performance over the past two years. However, neither strategy could make up for its September setbacks and maintained largely negative YTD returns.
Overall, like most other hedge fund strategies, the Funds of Funds strategy managed profitability in October and partly recovered from the losses of September. Like most equity-oriented strategies, its 2011 YTD performance remained well below par.
Although it has not recovered from the cumulative loss over the past five months (-16.26%), the S&P 500 index renewed with YTD profitability.
The bond market also recorded their best score over the past year - regular bonds up 1.07% and convertible bonds up 5.36. The commodities market was up 9.64%, however this could not make up for the losses in September of 12.40%.
The Convertible Arbitrage strategy has been less affected by the rise in stocks and gained a return of 1.33%, ending 5 months of losses and achieving a breakeven YTD performance. Despite the sharp fall in the dollar (-3.15%) and in profits on the commodities market, the CTA Global strategy fell by 3.00%.
The Equity Market Neutral strategy gained 1.58%, compensating for its losses in September. Exhibiting higher exposures to stocks, the Event Driven (+2.97%) and Long/Short Equity (+4.30%) strategies scored better and recorded their best performance over the past two years. However, neither strategy could make up for its September setbacks and maintained largely negative YTD returns.
Overall, like most other hedge fund strategies, the Funds of Funds strategy managed profitability in October and partly recovered from the losses of September. Like most equity-oriented strategies, its 2011 YTD performance remained well below par.
